Derivation of the DAV mortality table 2004 R for pension insurance

Abstract

In 2003 and 2004, the Biometric Calculation Basis Working Group of the DAV Life Insurance Committee conducted studies on mortality in pension insurance. To this end, both the mortality level and the expected improvement in mortality in the future were examined on the basis of data from the pension insurance portfolios of German life insurance companies, as well as data from German population statistics and the statutory pension insurance system, and compared with international developments. The results of these studies were adopted as a DAV guideline on September 14, 2005. This resulted in a system of generation mortality tables called the DAV2004R mortality table for use in reserving new life insurance policies with survival benefits (especially pension insurance policies) taken out from the beginning of 2005. This guideline applies to reserves from the 2005 balance sheet date. The DAV2004R mortality table is also suitable for calculating premiums for life insurance policies with a survival benefit.

As part of the regular review process for technical principles, the DAV2004R mortality table was reviewed in 2016 and 2017. The review showed that the table can be kept as a reserve table for new business. The results of this analysis were also summarized in the report Regular Review of DAV2004R for Pension Insurance Plans dated May 10, 2023.

Of course, every responsible actuary must check whether there are any company-specific circumstances that would argue against adopting the mortality tables derived in the guidelines unchanged for the purposes of reserving a particular company. If necessary, the responsible actuary must make appropriate adjustments to the mortality tables. For some aspects to be considered in this regard, see Chapter 7 (“Scope of Application”) of this guideline.

The material scope of this directive covers life insurance companies. However, in accordance with the principles of the DAV Directive on Biometric Calculation Bases and Interest Rates for Pension Funds and Pension Schemes of December 5, 2012, they apply equally to pension funds and pension schemes, provided that the same conditions apply as for life insurance companies, in particular that benefits and contributions are guaranteed without any restrictions. It also applies to property and casualty insurance companies when calculating the provision for old-age and survivors' pensions in accident insurance with guaranteed contribution repayment.